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研究生:黃珏茹
研究生(外文):Jiue-Ru Huang
論文名稱:隨機償還率下第 k 個違約交換評價之探討
論文名稱(外文):Pricing of kth-to-Default Swaps with Stochastic Recovery Rates
指導教授:張揖平張揖平引用關係
指導教授(外文):Yi-Ping Chang
學位類別:碩士
校院名稱:東吳大學
系所名稱:財務工程與精算數學系
學門:數學及統計學門
學類:其他數學及統計學類
論文種類:學術論文
論文出版年:2010
畢業學年度:98
語文別:中文
論文頁數:22
中文關鍵詞:一籃子違約交換第 k 個違約交換隨機償還率.
外文關鍵詞:Basket Default Swapskth-to-default swapsStochastic recovery rates.
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在評價信用衍生性金融商品 (credit derivatives) 之一籃子違約交換 (Basket Default Swaps, BDS) 時,常假設各資產 (asset) 違約時的償還率 (recovery rate) 為常數,本文將假設償還率為隨機 (stochastic) 型式,使得更符合一般現實狀況。本文參考 Kupiec (2008) 之相關隨機償還率模型,假設各資產之償還率間為具相關性的隨機變數,利用蒙地卡羅模擬法 (Monte Carlo simulation),評價 BDS 中的第 k 個違約交換 (kth-to-default swaps),並對不同參數進行敏感度分析,探討各參數與第 k 個違約交換評價之關係。
It often assumes that recovery rate of every asset is constant when evaluating one of credit derivatives, Basket Default Swaps, BDS. However, recovery rates were presumed as a stochastic term to conform to realistic situations in this paper. Kupiec's stochastic recovery rates model (2008) which let the recovery rate of each asset be dependent is discussed in the paper. Through Monte Carlo simulation, kth-to-default swaps in BDS was evaluated, discussed and analyzed sensitivity to different parameters.
1.緒論 1
2.文獻回顧 2
3.研究方法 4
3.1 違約時間模型與償還率模型 4
3.2 第 k 個違約交換之評價 10
4.敏感度分析 13
5.結論 17
附錄A 19
附錄B 20
參考文獻 21
Altman, E., Brooks, B., Resti, A., and Sironi, A. (2005). “The link between default and recovery rates: theory, empirical evidence and implications.” Journal of Business, Vol. 78, No. 6, pp. 2203-2228.
Andersen, L. and Sidenius, J. (2005). “Extensions to the Gaussian copula: random recovery and random factor loadings.” Journal of Credit Risk, Vol. 1, No. 1, pp. 29-70.
Bruche, M. and Gonzalez-Aguado, C. (2010). “Recovery rates, default probabilities, and the credit cycle.” Journal of Banking and Finance, Vol. 34, No. 4, pp. 754-764.
Burtschell, X., Gregory, J., and Laurent, J.-P. (2009). “A comparative analysis of CDO pricing models under the factor copula framework.” The Journal of Derivatives, Vol. 16, No. 4, pp. 9-37.
Chiang, M.-H., Yuen, M.-L., and Hsieh, M.-H. (2007). “An efficient algorithm for basket default swap valuation.” The Journal of Derivatives, Vol. 15, No. 2, pp. 8-19.
Hull, J. and White, A. (2004). “Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation.” The Journal of Derivatives, Vol. 23, No. 2, pp. 8-23.
Jabbour, G. M., Kramin, M. V., and Young, S. D. (2009). “Nth-to-default swaps: valuation and analysis.” Managerial Finance, Vol. 35, No. 1, pp. 22-47.
Kupiec, P. H. (2008). “A generalized single common factor model of portfolio credit risk.” The Journal of Derivatives, Vol. 15, No. 3, pp. 25-40.
Laurent, J.-P. and Gregory, J. (2005). “Basket default swaps, CDOs and factor copulas.” Journal of Risk, Vol. 7, No. 4, pp. 103-122.
Li, D. (2000). “On default correlation: a copula approach.” The Journal of Fixed Income, Vol. 9, No. 4, pp. 43-54.
Meneguzzo, D. and Vecchiato, W. (2004). “Copula sensitivity in collateralized debt obligations and basket default swaps.” The Journal of Futures Markets}, Vol. 24, No. 1, pp. 37-70.
Moody's (2000). “Moody's investor Service: historical default rates of corporate bond issuers, 1920-1999.”
Morters, P. and Peres, Y. (2010). Brownian Motion, Cambridge University Press, New York.
Vasicek, O. (2002). “The distribution of the loan portfolio value.” Risk, Vol. 15, No. 12, pp. 160-162.
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